有效市场投资组合的识别与确定

Sharp、Lintner和Mossin发现的资本资产定价模型(CAPM)是一个一般均衡模型,不仅使人们提高了对市场行为的了解,而且还提供了实践上的便利,同时也为评估风险调整中的业绩提供了一种实用的方法。因此CAPM为投资组合分析的多方面的应用提供了一种原始的基础。然而,在1977年RichardRoll对CAPM的检验提出了尖锐的批评,批评的关键之一就是有效市场投资组合是否能得到识别。本文运用自己独创的一种几何方法解决了这个长达二十余年的国际性难题。本文首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来,然后将资本市场线(CML)也用投资组合的权重向量表示出来,再由CML的定义就求出这个有效市场投资组合了。

The Identification of the Efficient M arket Portfolio

The capital asset pricing model(CAPM)discovered by Sharp(1964),Lintner(1965)and Mossin(1966)is a general equilibrium model It not only allows improved understanding of market behavior,but also provides practical benefits At the same time,it also provides a practical mechanism for evaluating performance in a risk adjusted mode This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis However,Richard Roll(1977) had directed some biting criticism at the tests in affirming the CAPM This criticism is aimed at one of the critical notions the identification of the efficient market portfolio This paper solves the highly difficult problem by a geometrical way It first expresses the efficient frontier of Markowitz model with the weights vector of portfolio Then,it expresses the capital market line(CML)with the weights vector too By the definition of the CML,the efficient market portfolio thus can be identified.